Estimating and testing linear models with multiple structural changes
Estimating and testing linear models with multiple structural changes
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DOI：
10.2307/2998540
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发表时间：
1998-01-01
期刊：
影响因子：
6.1
通讯作者：
Perron, P
中科院分区：
文献类型：
--
作者：
Bai, JS;Perron, P
本文考虑了与最小二乘估计的线性回归模型中发生在未知日期处的多种结构变化有关的问题。主要方面是估计器的属性，包括断裂日期的估计值，以及允许对结构变化和断裂数量进行推断的测试的构建。我们考虑了部分结构变化模型的一般情况，并非所有参数都会发生变化。我们研究固定和缩小的移位幅度，并获得估计的断裂部分的收敛速率。我们还提出了一个程序，该程序允许人们检验L+1变化的替代假设的零假设。这尤其有用，因为它允许特定于一般建模策略始终如一地确定当前的更改数量。讨论了不必同时确定休息位置的估计策略。相反，我们的方法依次估算每个断裂点。
This paper considers issues related to multiple structural changes, occurring at unknown dates, in the linear regression model estimated by least squares. The main aspects are the properties of the estimators, including the estimates of the break dates, and the construction of tests that allow inference to be made about the presence of structural change and the number of breaks. We consider the general case of a partial structural change model where not all parameters are subject to shifts. We study both fixed and shrinking magnitudes of shifts and obtain the rates of convergence for the estimated break fractions. We also propose a procedure that allows one to test the null hypothesis of, say, l changes, versus the alternative hypothesis of l+1 changes. This is particularly useful in that it allows a specific to general modeling strategy to consistently determine the appropriate number of changes present. An estimation strategy for which the location of the breaks need not be simultaneously determined is discussed. Instead, our method successively estimates each break point.